Credit Derivatives and Credit Exposures

A credit derivative is a financial instrument designed to separate and
then transfer the risk of an event of credit default to an entity other than
the debtholder. This toolbox provides functionality to price credit default
swaps and credit default swap options. Also, you can compute the default
probability and hazard rate values from market data. Counterparty credit
risk is that the counterparty to a contract will not live up to its
contractual obligations.

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